Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0121 |
| Annualized Std Dev | 0.1569 |
| Annualized Sharpe (Rf=0%) | -0.0774 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3792.0000 |
| NAs | 1.0000 |
| Minimum | -0.1369 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0042 |
| Maximum | 0.1162 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0099 |
| Skewness | -1.2058 |
| Kurtosis | 29.9138 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0075 |
| Gain Deviation | 0.0070 |
| Loss Deviation | 0.0089 |
| Downside Deviation (MAR=210%) | 0.0123 |
| Downside Deviation (Rf=0%) | 0.0075 |
| Downside Deviation (0%) | 0.0075 |
| Maximum Drawdown | 0.6121 |
| Historical VaR (95%) | -0.0129 |
| Historical ES (95%) | -0.0242 |
| Modified VaR (95%) | -0.0134 |
| Modified ES (95%) | -0.0134 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-12-07 | 2008-12-16 | NA | -0.6121 | 3595 | 510 | NA |
| 2006-04-10 | 2006-07-03 | 2006-12-05 | -0.1411 | 167 | 59 | 108 |
| 2006-03-01 | 2006-04-04 | 2006-04-06 | -0.0007 | 27 | 25 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | -0.1 | 0.1 | 0.3 | 0 | -0.2 | 0.5 | 0.4 | -0.3 | 0.7 | -0.1 | -0.1 | 1.2 |
| 2007 | -0.6 | -0.1 | 1 | -0.1 | -0.9 | 0.3 | -0.5 | 1.3 | 0.4 | -0.1 | 1.2 | 1.3 | 3.3 |
| 2008 | 0.5 | -3.1 | 0.8 | 0.7 | -0.9 | -0.2 | -0.5 | 0.3 | 3.7 | 3.7 | -1.8 | 0.7 | 3.8 |
| 2009 | -0.9 | -1.7 | 1 | 0.5 | -1.6 | -0.1 | 0.3 | 0.6 | -0.2 | -0.2 | 0.1 | 0.1 | -2 |
| 2010 | 1.1 | 0.4 | 0.7 | -1.3 | 0.2 | 0.9 | 1.1 | -0.2 | 0.5 | -0.3 | -0.6 | 2.3 | 4.9 |
| 2011 | 0.6 | 1.1 | 0.4 | 0.5 | -0.4 | 0.8 | 1.3 | 0.8 | 0.9 | 0.5 | 0.1 | 0.6 | 7.5 |
| 2012 | 0.8 | 0.2 | 0.7 | 0.4 | 0.4 | 0.3 | -0.2 | 0.1 | 0.3 | 0.5 | 0.5 | 1 | 5.2 |
| 2013 | -0.2 | -0.1 | 0 | 0 | -1.9 | 0.4 | -1.5 | -0.5 | 0.3 | -1.2 | 0.6 | -0.2 | -4.2 |
| 2014 | 0.5 | 0.4 | -0.1 | 0.3 | -0.7 | -0.4 | 0.1 | 0.4 | 0.1 | -0.1 | -0.4 | 0.3 | 0.3 |
| 2015 | 0.7 | 0.5 | 0.5 | -0.4 | 0 | -0.4 | 0.6 | -0.1 | 0.3 | -0.3 | 0.4 | 0.5 | 2.3 |
| 2016 | 0 | 0.8 | 0.8 | 0.7 | 0.5 | 0.2 | 0.2 | 0.2 | 0.2 | -0.3 | -0.9 | -0.1 | 2 |
| 2017 | -0.5 | -0.2 | -0.1 | -0.1 | 0.3 | 0.4 | 0.7 | 0.1 | -0.8 | -0.3 | 0.7 | 0.3 | 0.5 |
| 2018 | -0.1 | -0.2 | 0.2 | 0.4 | -0.2 | 0.2 | 0.5 | 0.5 | 0.9 | 0.5 | 0.6 | 0.4 | 3.9 |
| 2019 | 0.9 | 0.4 | 0.2 | 0.6 | 0.3 | -0.3 | 0.7 | 0.2 | 1.3 | -0.6 | 0.5 | -0.6 | 3.5 |
| 2020 | 0.2 | -4.8 | -2.8 | 0.7 | 0.1 | -0.7 | 0.4 | 0.8 | 0.6 | 0.3 | 0 | -0.2 | -5.3 |
| 2021 | 0.4 | 0.4 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-02-24 15 SPY 129. 0.0026 0.0019 0.0217 0.0246 0.0763 0.532 -0.0076 GLD 55.6 0.0183 0.0205
2 2006-02-27 15.0 SPY 129. 0.0004 0.005 0.0165 0.0191 0.0661 0.555 0.0083 GLD 55.2 -0.0075 0.0047
3 2006-02-28 15.0 SPY 128. -0.0095 -0.002 -0.00240 0.0087 0.063 0.520 0.0208 GLD 56.1 0.0154 0.0172
4 2006-03-01 15 SPY 129. 0.0089 0.0008 0.0072 0.0249 0.0671 0.524 0.0283 GLD 56.1 0.0005 0.0137
5 2006-03-02 15 SPY 129. -0.0001 0.0022 0.0146 0.0259 0.0676 0.538 0.0352 GLD 56.7 0.0114 0.0384
6 2006-03-03 15 SPY 129. -0.0046 -0.005 0.00290 0.0267 0.0622 0.556 0.0089 GLD 56.3 -0.0081 0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
